Pages that link to "Item:Q2496505"
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The following pages link to Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing (Q2496505):
Displaying 44 items.
- Multi-index Monte Carlo: when sparsity meets sampling (Q264116) (← links)
- Importance sampling and statistical Romberg method for Lévy processes (Q271865) (← links)
- Multi-level stochastic approximation algorithms (Q292915) (← links)
- Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (Q373839) (← links)
- Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE (Q487684) (← links)
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers (Q507015) (← links)
- Infinite-dimensional quadrature and approximation of distributions (Q839653) (← links)
- Importance sampling and statistical Romberg method (Q888470) (← links)
- On irregular functionals of SDEs and the Euler scheme (Q964680) (← links)
- Coupling importance sampling and multilevel Monte Carlo using sample average approximation (Q1657808) (← links)
- Unbiased simulation of stochastic differential equations (Q1704137) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations (Q2013151) (← links)
- A generic construction for high order approximation schemes of semigroups using random grids (Q2049919) (← links)
- Multilevel Picard iterations for solving smooth semilinear parabolic heat equations (Q2063953) (← links)
- Central limit theorem for the antithetic multilevel Monte Carlo method (Q2170368) (← links)
- On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (Q2184812) (← links)
- Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks (Q2209728) (← links)
- Antithetic multilevel sampling method for nonlinear functionals of measure (Q2240845) (← links)
- Central limit theorem for the multilevel Monte Carlo Euler method (Q2258530) (← links)
- Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations (Q2302502) (← links)
- Iterative multilevel particle approximation for McKean-Vlasov SDEs (Q2330461) (← links)
- A continuation multilevel Monte Carlo algorithm (Q2350720) (← links)
- An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium (Q2406621) (← links)
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing (Q2496505) (← links)
- Numerical approximation of diffusions in \(\mathbb {R}^d\) using normal charts of a Riemannian manifold (Q2507672) (← links)
- An optimal control variance reduction method for density estimation (Q2518612) (← links)
- Nonasymptotic bounds for sampling algorithms without log-concavity (Q2657917) (← links)
- Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates (Q2679328) (← links)
- An introduction to multilevel Monte Carlo for option valuation (Q2804491) (← links)
- Multilevel Monte Carlo Approximation of Distribution Functions and Densities (Q2945150) (← links)
- On the Acceleration of the Multi-Level Monte Carlo Method (Q2949839) (← links)
- Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo (Q2957024) (← links)
- On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter (Q3451723) (← links)
- Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
- Modeling the wind circulation around mills with a Lagrangian stochastic approach (Q4967341) (← links)
- A Multilevel Monte Carlo Estimator for Matrix Multiplication (Q5131979) (← links)
- Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (Q5411899) (← links)
- A Multilevel Monte Carlo Method for Computing Failure Probabilities (Q5741181) (← links)
- A massively parallel implementation of multilevel Monte Carlo for finite element models (Q6094001) (← links)
- (Non)-penalized multilevel methods for non-uniformly log-concave distributions (Q6126986) (← links)
- Multi-index antithetic stochastic gradient algorithm (Q6171790) (← links)
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey (Q6602125) (← links)
- Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients (Q6635676) (← links)
